Developing Execution Algorithms for Interest Rates

Practitioner Lecture Series


We will talk about the quantitative techniques that we use to develop agency execution algorithms for interest rates products, including futures and also cash US Treasuries. We will discuss the special features of these markets, such as pro rata matching, information events, and interrelationships. A special emphasis will be use of a market simulator to develop and test algorithm functionality and short-term pricing signals.


Wednesday, November 12, 2014 - 16:30
to 17:30